Getting Started. Tutorial RIT API

Transcription

1 Note: RIT s Application Programming Interface (API) is implemented in RIT versions 1.4 and higher. The following instructions will not work for versions prior to RIT Client 1.4. Getting Started Rotman Interactive Trader allows users to program trading instructions in Microsoft Excel s Visual Basic for Applications (VBA) modules. The purpose of this is to allow for program or algorithmic trading, where the computer executes trades based on a pre-described set of instructions or parameters. This help file assumes that the user has no previous knowledge of VBA, and begins by discussing the concepts of programming before in-depth trading algorithms are introduced. Those who are already familiar with VBA should skip to the section entitled API commands for RIT. This document also does not discuss the strategies behind algorithmic trading. Rather, it introduces the user to the tools that are available through the RIT API. Users are encouraged to explore possible Page 1 of 15

2 Introduction to Excel VBA (Developer) RIT API To access the VBA editor, first ensure that it is turned on by clicking on the Microsoft Office Button in the top-left hand corner of Excel, and go to Excel Options. Ensure that Show Developer tab in the Ribbon is checked. Once this is turned on, the Developer Tab will appear in the original list of Excel tabs. You can access the VBA editor by clicking on the Visual Basic icon within the Developer tab. Hint: You can access this at anytime with the shortcut Alt+F11 Page 2 of 15

3 The VBA editor will display all of the loaded Excel projects and add-ins. What is relevant is the VBAProject (Book1) that you are currently working on. Note: Book1 refers to the name of your excel spreadsheet file and will change as you change your filename. We will begin by writing some basic procedures in your Book1.xls. In order to do this, create a module in your book by going to Insert -> Module. Module1 will be added to your Book1 project and a code window will open on the right hand side allowing you to input your programming code. Page 3 of 15

4 The first step is to write a very simple procedure. A procedure is a set of programming lines that are run by the computer whenever instructed to do so. Procedures are defined with the lines sub <procedure> and end sub enclosing them. We will define a procedure named message by inputting Sub message into the code window. As soon as you type Sub message (without quotes) and press enter, VBA will automatically format the text by adding brackets after message and add End Sub to the next line. Page 4 of 15

5 We have just created a procedure called message. When this procedure is run, it will execute the code. In this case, it will do nothing since we have not written any code between the beginning of the procedure (sub) and end of the procedure (end sub). We will start with a basic set of code that references the built-in VBA function MsgBox. To do this, type MsgBox ( Hello World ) into the code window between your (Sub) and (end sub). The MsgBox command will cause a pop-up message box to show up in Excel when the code is executed. After you have typed the code into the window, click on the Play button in the VBA editor, your code will execute and a pop-up message in Excel should appear. You have just completed writing and running a procedure in VBA. Obviously running the procedure from the VBA editor is rather cumbersome, so the next step involves linking the macro to an Excel button so that it is easier to run the procedure. Page 5 of 15

6 To create the Macro button, go back to the Developer tab in Excel and click on Insert, and then select the first option Button. When you move your mouse over the spreadsheet, the mouse cursor will become a crosshair instead of an arrow. Click and drag anywhere on the spreadsheet to draw the button. Once you finish drawing the button, the Assign Macro form will appear, select message (the name of your macro you just written) then click OK. Now that you have assigned the procedure message to the button, the procedure will be executed each time you click the button. Note: If you change the name of your procedure, do not forget to re-assign your Macro Page 6 of 15

7 Once that is complete, left-click on the button and your Hello World message box should appear. If you ever want to edit this object (resize, redirect, etc.) right click on it and a context menu will appear allowing you adjust the box. To understand a little bit more behind the programming, we will revisit the code and modify it to be slightly more complex. In the Visual Basic Editor, we are going to modify the code to read MsgBox Cells(1,1) instead of MsgBox ( Hello World ). Much like Microsoft Excel, VBA assumes that any text wrapped in quotes is plain text, whereas anything not wrapped in quotes is a function, procedure, or operation. Since there are no quotes around Cells(1,1), it will not say Hello Cells(1,1), instead, it will follow the command of Cells(1,1). The Cells(x,y) command is a function in Excel that instructs VBA to replace itself with the data from the spreadsheet row x, column y. Essentially the way VBA interprets this set of code is: MsgBox( x ) Create a message box with the text x Replace ( x ) with Cells(1,1) Will now use the data from the cell located in row 1, column 1. MsgBox Cells(1,1) Create a message box with the data from row 1, column 1 Now go to the Cell A1 in the current Excel Sheet1 and type in Bob. Click on your Macro button, the result should be a message box that says Hello Bob. Hint: If you want to reference cells from other sheets, you can do this by typing Sheet3.Cells(1,1) This will now use the data from cell A1 on Sheet3 Page 7 of 15

8 We can make this more complex by adding an equation into the procedure. Go back to the VBA editor and change your code to the following: Go to your Excel Sheet and type Sally into Cell A2, and click your macro button. The result should be: Page 8 of 15

9 To clean this up a little bit, we will make another adjustment to the code by adding the word and between the two references. This is accomplished as follows: Notice the quotes around the word and, as well as the space between the quotes and the word and. Without the spaces, the message box would simply say BobandSally. Alternatively without the quotes around <and>, VBA would think and is a command instead of using it as text. The last code adjustment that we will make is to add a mathematical equation to our message box. This is accomplished as follows: Type the values 3 and 5 into cells A3 and A4 and run your procedure by clicking the button. The result should be Bob and Sally15. Since we used the asterisk * between Cells(3,1) and Cells(4,1), VBA is instructed to multiply the values from these two cells, and then append them as text to the rest of the text. Page 9 of 15

10 This concludes the basic VBA training that you will need in order to access the RIT API. You are now able to write a simple set of instructions (a procedure) in VBA using a predesigned function (MsgBox) and execute it via the Button that was created. API Commands for RIT To begin, start with a new spreadsheet and access VBA. In order to access RIT s built-in VBA commands, you will need to add it as a reference to your VBA project by going to: Tools -> References When the Reference window appears, scroll down and check the item Rotman. This loads the Rotman commands and functions into VBA so that you can reference them. Create a module in your file by going to Insert -> Module. Launch the RIT Client (Version 1.4 or later) and then connect to the RIT Server. While you can program your algorithms without running RIT, you won t be able to test any of your commands. Page 10 of 15

11 Submitting an Order In the module that you have created, type the following text into the module Sub submitorder() Dim api As Rotman.RITAPI Set api = New Rotman.RITAPI api.addorder "CRZY", 500, 5, api.buy, api.lmt End Sub The first two lines simply initialize the coding structure that we will be using. The third is the code that instructs the API to submit an order. You will notice that as you type the beginning of the command api. a dropdown will appear showing all of the different API commands that you can access. The line given in the example is setup assuming you are trading Market Microstructure 1 or 2, with the stock CRZY. If you are trading a different case, you will need to change the ticker otherwise the command will not work since the security CRZY does not exist. Page 11 of 15

12 You will notice that as you type in the api.addorder command, a tooltip will show you the different command line parameters that are required for the api.addorder command. Note: You should not use brackets around the parameters in the api.addorder command; however you may use brackets if you are referencing another function such as cells(x,y) in the command. Once you have completed the code, try to create a button and link the button to the procedure. Click the button a few times and visit your RIT Client, you should see limit orders placed at $5.00 to buy shares of CRZY. Alternatively simply press the play button in the VBA editor to run your procedure. From what we ve learned in our earlier example, we can be creative and make the order submission dynamic as follows: api.addorder Cells(2,1), Cells(2,2), Cells(2,3), api.buy, api.lmt In our excel sheet, we will need to make rows and columns as follows: Page 12 of 15

13 Now when we submit the order, it will reference the data in our spreadsheet using the Cells(x,y) command instead of taking the hardcoded values. While we code the buy, sell parameters directly with api.buy and api.sell, if we are referencing them we actually have to use 1 (for buy) and -1 (for sell). So if you were to add another column to your spreadsheet to input whether the order is a buy or sell, you would input 1 or -1, instead of api.buy or api.sell. Similarly instead of directly typing api.lmt or api.mkt, you can reference a cell that reads 0 or 1. 0 is the identifier for a limit order and 1 is the identifier for a market order. A good way to reference this is to use a dropdown switch and use IF statements to map the buy/sell in the dropdown to 1/-1 and limit/market to 0/1. Cancelling an Order There are two methods for cancelling an order, API.CancelOrder and API.CancelOrderExpr The first command is very straightforward, it simply requires one parameter: the order ID. To retrieve your order ID s, you can either use your RTD link in Excel (Refer to RTD help file) or look through your RIT Trade Blotter. To cancel the order, create a procedure in VBA, and type in the following code: Page 13 of 15

14 Note that the number 1500 is the order ID number that we wish to cancel. Generally we would make this more robust by linking the value to a cell location with the Cells(x,y) funciton in the same fashion as we did with the API.AddOrder function. The second funciton that we can use is the API.CancelOrderExpr. This allows us to cancel orders that fit within a set of parameters. For example, api.cancelorderexpr ("price>9.5 AND volume>100") When executed, this will cancel all orders with a price greater than $9.50 and a volume greater than 100 shares. This feature is still experimental. The next steps for algorithmic trading are for you to apply the commands and knowledge with your own calculations and decision algorithms. For example, you could use Excel to calculate the fair value of a security, and then use VBA to submit orders to buy & sell securities below & above the fair value. Alternatively, you could cancel any orders that were mispriced. You can use timed-events in your code to run the procedure every 5 seconds instead of clicking on a button, or you could set it to trigger whenever a certain condition is met (with if statements). With these basic tools and a little creativity, you can come up with many very interesting algorithms. Page 14 of 15

15 A reminder about RTD Functions You can request market data from RIT by using the RIT RTD functions in Excel. Here is a quick summary of them: =RTD( rit,, GLOBAL ) Returns a global variable of data. BP(Buying Power), CASH(Cash), CP(Current Period), RF(Risk-free Rate), TY(Time in a Year), TR(Time Remaining) i.e. =RTD( rit,, BP ) =RTD( rit,, TICKER DATA ) Returns a specific data element for a specified ticker. BID, ASK, BID1.. BID20, BSZ1.. BSZ20 i.e. =RTD( rit,, CRZY BID ) =RTD( rit,, OO ) Returns all open orders, comma and semicolon delimited. =RTD( rit,, FO ) Returns all filled orders, comma and semicolon delimited. =RTD( rit,, TICKER BIDBOOK ) Returns all bids for Ticker, comma and semicolon delimited. (Can alternatively request ASKBOOK) Page 15 of 15